Search Results for author: Antonis Papapantoleon

Found 7 papers, 3 papers with code

Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options

1 code implementation5 Mar 2024 Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone

Nonetheless, the applicability of RQMC on the unbounded domain, $\mathbb{R}^d$, requires a domain transformation to $[0, 1]^d$, which may result in singularities of the transformed integrand at the corners of the hypercube, and deteriorate the rate of convergence of RQMC.

A time-stepping deep gradient flow method for option pricing in (rough) diffusion models

no code implementations1 Mar 2024 Antonis Papapantoleon, Jasper Rou

We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models.

A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models

no code implementations12 Jan 2024 Emmanuil H. Georgoulis, Antonis Papapantoleon, Costas Smaragdakis

We develop a novel deep learning approach for pricing European basket options written on assets that follow jump-diffusion dynamics.

Machine learning for option pricing: an empirical investigation of network architectures

no code implementations14 Jul 2023 Laurens Van Mieghem, Antonis Papapantoleon, Jonas Papazoglou-Hennig

We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output data (option prices or implied volatilities).

Image Classification

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models

1 code implementation15 Mar 2022 Michael Samet, Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Raúl Tempone

First, we smooth the Fourier integrand via an optimized choice of the damping parameters based on a proposed optimization rule.

Model-free bounds for multi-asset options using option-implied information and their exact computation

1 code implementation25 Jun 2020 Ariel Neufeld, Antonis Papapantoleon, Qikun Xiang

We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices.

Optimization and Control Probability Computational Finance Mathematical Finance Pricing of Securities

Detection of arbitrage opportunities in multi-asset derivatives markets

no code implementations14 Feb 2020 Antonis Papapantoleon, Paulo Yanez Sarmiento

We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously.

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